What is the best Lévy model for stock indices? : a comparative study with a view to time consistency
Till Massing
| Year of publication: |
2019
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|---|---|
| Authors: | Massing, Till Philipp Georg |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 33.2019, 3, p. 277-344
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| Subject: | Stock index returns | Generalized hyperbolic distribution | Time consistency | Goodness of fit | Aktienindex | Stock index | Theorie | Theory | Zeitkonsistenz | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-019-00335-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012427796